Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0066
Annualized Std Dev 0.1600
Annualized Sharpe (Rf=0%) -0.0416

Row

Daily Return Statistics

Close
Observations 5577.0000
NAs 1.0000
Minimum -0.1823
Quartile 1 -0.0037
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0042
Maximum 0.2186
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0101
Skewness -0.3709
Kurtosis 80.2334

Downside Risk

Close
Semi Deviation 0.0074
Gain Deviation 0.0079
Loss Deviation 0.0090
Downside Deviation (MAR=210%) 0.0122
Downside Deviation (Rf=0%) 0.0074
Downside Deviation (0%) 0.0074
Maximum Drawdown 0.6169
Historical VaR (95%) -0.0122
Historical ES (95%) -0.0231
Modified VaR (95%) -0.0013
Modified ES (95%) -0.0013
From Trough To Depth Length To Trough Recovery
2004-01-15 2008-12-15 NA -0.6169 4325 1239 NA
1999-01-08 2000-03-21 2002-02-20 -0.2329 771 300 471
2003-06-11 2003-08-05 2003-12-15 -0.1307 131 39 92
2002-10-08 2002-10-24 2003-05-08 -0.0854 147 13 134
2002-03-05 2002-03-26 2002-05-09 -0.0579 47 16 31

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.5 0.5 0.5 -0.5 -1 0 0.5 1 0 1.7 -2.1 -1.7 -0.7
2000 0.5 -1.7 1.1 1.1 1.7 0 1.1 1 -1.5 0 0 -0.5 2.8
2001 0.1 0.9 0.4 -0.3 -0.5 0.2 0.5 -0.2 0.9 0.8 0.3 0.5 3.6
2002 0.4 0.1 -0.2 0.7 -0.2 0 0.4 0.6 0 0.9 0 0.8 3.6
2003 0.3 -0.7 -0.4 0.2 0.2 0.5 0.5 0.1 -0.1 -0.4 0 -0.9 -0.7
2004 -0.4 -0.2 -0.3 0.2 1.1 0.1 1.7 0.8 -0.1 -2 -0.1 0.5 1.3
2005 0.1 -0.2 -0.2 0.3 1 -0.1 -0.7 0.7 0.1 0.2 0.4 -0.2 1.2
2006 -1 -0.1 1.2 -0.4 0.6 0 0.1 0.5 0 0.5 0.4 0.4 2.3
2007 0 -0.1 0 -0.3 0 0.8 0.1 0.4 -0.2 0 -0.2 -0.1 0.5
2008 -0.1 -2 0.5 0.2 -0.1 0.4 0.3 0.1 5.1 -4.8 -5.7 -0.9 -7.1
2009 -1.8 0.6 1.8 0.8 0.4 -0.3 0.6 0.1 -0.1 -1 0 0.3 1.4
2010 0.4 1.4 0.6 -0.5 0.5 0.5 0.7 0.2 -0.5 0 -2.6 1.5 2.1
2011 0.5 -0.4 0.5 0.9 0 -0.7 3.6 0.4 0.5 0.1 -0.2 0.1 5.5
2012 0.8 1.4 0.2 -0.4 -0.7 0.6 0.1 0 -0.5 0.1 0.3 0.8 2.8
2013 -0.4 0.5 0.3 -0.2 -2.1 0.7 -0.8 -0.7 0 -1 -0.6 0.2 -4
2014 -0.2 0.2 -0.5 1.1 -0.3 -0.4 0 0.1 0.4 -0.5 0.3 0.7 0.7
2015 0.5 0.8 0.1 -0.9 -0.1 0.4 0.3 0.3 0.2 0.8 0.4 0.1 2.7
2016 0.5 -0.2 0.8 0.9 1.4 0.2 -0.3 -0.6 0 -0.1 -1.2 1.3 2.7
2017 -0.4 -1 0.1 0.3 0.3 0.3 0.5 -0.3 -0.3 0.2 -0.4 0.3 -0.4
2018 -0.1 -0.2 -0.1 0.4 0 -0.2 0.6 0.1 -0.4 0.3 -0.5 -0.2 -0.3
2019 0.5 0.2 0 0.4 0.5 -0.1 0.7 0.3 0.5 0.1 -0.2 0.2 3
2020 -0.3 -1.3 -3.2 0.8 1.1 0.4 0.4 0.5 0.4 -0.3 0.7 0.9 -0.1
2021 -0.2 0.8 0 NA NA NA NA NA NA NA NA NA 0.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  13.6 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  13.6 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  13.6 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  13.7 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  13.6 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  13.5 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart